On The Explanatory Power Of The Capm And Multifactor Models On The German Stock Market

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On the Explanatory Power of the Capm and Multifactor Models on the German Stock Market

Author : Fabio Martin
Publisher :
ISBN 13 : 9783668720039
Total Pages : 42 pages
Book Rating : 4.7/5 (2 download)

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Book Synopsis On the Explanatory Power of the Capm and Multifactor Models on the German Stock Market by : Fabio Martin

Download or read book On the Explanatory Power of the Capm and Multifactor Models on the German Stock Market written by Fabio Martin and published by . This book was released on 2018-05 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bachelor Thesis from the year 2018 in the subject Business economics - General, grade: 1,0, Justus-Liebig-University Giessen, language: English, abstract: The aim of this thesis is to apply the CAPM and the Fama-French model on the German stock market and to see whether the models hold or not. The research methodology in this thesis is mostly an empirical analysis and adopts the approach of Pamane et. al (2014) and Fama and French (1993). However, I will use a different data set and run the test for the CAPM on single stocks rather than on portfolios in order to avoid covariance problems. Firstly, we will calculate the security market line in a two-step regression and then evaluate the influence of non-linear factors and non-systematic risk factors. In addition, the effects of the financial crisis have to be taken into consideration which is why, dummy variables will be used. However, before we interpret the regression results, we make sure that the data are reliable in the first place and correct them if necessary. For the purpose of assessing the Fama-French model, however, we use a quite different approach and follow the original procedure that was used by Fama and French (1993) themselves. This involves classifying the stocks according to size and value and then building a total of four portfolios. Afterwards, returns are computed and regressed against size and value factors. Even though it is quite common to use, for instance, the DAX or the NASDAQ as proxies, I see the chance of facing endogeneity issues when explaining returns of stocks that are listed in the DAX, which is why I will run all tests for a second time but this time using the MDAX instead of DAX as the market portfolio in order to avoid endogeneity problems.

Innovations in Classification, Data Science, and Information Systems

Author : Daniel Baier
Publisher : Springer Science & Business Media
ISBN 13 : 9783540232216
Total Pages : 632 pages
Book Rating : 4.2/5 (322 download)

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Book Synopsis Innovations in Classification, Data Science, and Information Systems by : Daniel Baier

Download or read book Innovations in Classification, Data Science, and Information Systems written by Daniel Baier and published by Springer Science & Business Media. This book was released on 2004-11-19 with total page 632 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volume presents innovations in data analysis and classification and gives an overview of the state of the art in these scientific fields and applications. Areas that receive considerable attention in the book are discrimination and clustering, data analysis and statistics, as well as applications in marketing, finance, and medicine. The reader will find material on recent technical and methodological developments and a large number of applications demonstrating the usefulness of the newly developed techniques.

Empirical Asset Pricing

Author : Wayne Ferson
Publisher : MIT Press
ISBN 13 : 0262039370
Total Pages : 497 pages
Book Rating : 4.2/5 (62 download)

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Book Synopsis Empirical Asset Pricing by : Wayne Ferson

Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.

Financial Econometrics

Author : Svetlozar T. Rachev
Publisher : John Wiley & Sons
ISBN 13 : 0470121521
Total Pages : 560 pages
Book Rating : 4.4/5 (71 download)

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Book Synopsis Financial Econometrics by : Svetlozar T. Rachev

Download or read book Financial Econometrics written by Svetlozar T. Rachev and published by John Wiley & Sons. This book was released on 2007-03-22 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive guide to financial econometrics Financial econometrics is a quest for models that describe financial time series such as prices, returns, interest rates, and exchange rates. In Financial Econometrics, readers will be introduced to this growing discipline and the concepts and theories associated with it, including background material on probability theory and statistics. The experienced author team uses real-world data where possible and brings in the results of published research provided by investment banking firms and journals. Financial Econometrics clearly explains the techniques presented and provides illustrative examples for the topics discussed. Svetlozar T. Rachev, PhD (Karlsruhe, Germany) is currently Chair-Professor at the University of Karlsruhe. Stefan Mittnik, PhD (Munich, Germany) is Professor of Financial Econometrics at the University of Munich. Frank J. Fabozzi, PhD, CFA, CFP (New Hope, PA) is an adjunct professor of Finance at Yale University’s School of Management. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm The Intertek Group. Teo Jasic, PhD, (Frankfurt, Germany) is a senior manager with a leading international management consultancy firm in Frankfurt.

Portfolio Performance Evaluation

Author : George O. Aragon
Publisher : Now Publishers Inc
ISBN 13 : 1601980825
Total Pages : 123 pages
Book Rating : 4.6/5 (19 download)

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Book Synopsis Portfolio Performance Evaluation by : George O. Aragon

Download or read book Portfolio Performance Evaluation written by George O. Aragon and published by Now Publishers Inc. This book was released on 2008 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a review of the methods for measuring portfolio performance and the evidence on the performance of professionally managed investment portfolios. Traditional performance measures, strongly influenced by the Capital Asset Pricing Model of Sharpe (1964), were developed prior to 1990. We discuss some of the properties and important problems associated with these measures. We then review the more recent Conditional Performance Evaluation techniques, designed to allow for expected returns and risks that may vary over time, and thus addressing one major shortcoming of the traditional measures. We also discuss weight-based performance measures and the stochastic discount factor approach. We review the evidence that these newer measures have produced on selectivity and market timing ability for professional managed investment funds. The evidence includes equity style mutual funds, pension funds, asset allocation style funds, fixed income funds and hedge funds.

Journal of Applied Business Research

Author :
Publisher :
ISBN 13 :
Total Pages : 566 pages
Book Rating : 4.:/5 ( download)

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Book Synopsis Journal of Applied Business Research by :

Download or read book Journal of Applied Business Research written by and published by . This book was released on 1988 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Handbook of Equity Market Anomalies

Author : Leonard Zacks
Publisher : John Wiley & Sons
ISBN 13 : 1118127765
Total Pages : 352 pages
Book Rating : 4.1/5 (181 download)

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Book Synopsis The Handbook of Equity Market Anomalies by : Leonard Zacks

Download or read book The Handbook of Equity Market Anomalies written by Leonard Zacks and published by John Wiley & Sons. This book was released on 2011-08-24 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.

The Effect of Macroeconomic Factors on Asset Returns

Author : Erdinç Altay
Publisher :
ISBN 13 : 9783860106921
Total Pages : 36 pages
Book Rating : 4.1/5 (69 download)

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Book Synopsis The Effect of Macroeconomic Factors on Asset Returns by : Erdinç Altay

Download or read book The Effect of Macroeconomic Factors on Asset Returns written by Erdinç Altay and published by . This book was released on 2003 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Multinational Finance

Author : Kirt C. Butler
Publisher : John Wiley & Sons
ISBN 13 : 111921971X
Total Pages : 580 pages
Book Rating : 4.1/5 (192 download)

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Book Synopsis Multinational Finance by : Kirt C. Butler

Download or read book Multinational Finance written by Kirt C. Butler and published by John Wiley & Sons. This book was released on 2016-04-13 with total page 580 pages. Available in PDF, EPUB and Kindle. Book excerpt: Deep coverage and rigorous examination of international corporate finance Multinational Finance offers an advanced exploration of international corporate finance concepts and operations. Despite its status as one of the most rigorous texts on the topic, this book remains accessible and readable without sacrificing depth of coverage. Sidebars, key terms, essays, conceptual questions, and problems with solutions help aid in the learning process, while suggested readings and PowerPoint handouts reinforce the material and offer avenues for further exploration. This new sixth edition includes Excel templates that allow students to use real-world tools in a learning environment, and the modular structure facilitates course customization to individual objectives, interests, and preparatory level. The emphasis is on the basics of financial management, but coverage includes unique chapters on treasury management, asset pricing, hedging, options, and portfolio management in addition to traditional finance topics. International finance is a diverse field with myriad specialties and a vast array of possible interests. This book allows students to view the field through the lens of a financial manager with investment or financial options in more than one country to give them a practical feel for real-world application. Understand the nature and operations of international corporate finance Evaluate opportunities, costs, and risks of multinational operations See beyond the numbers and terminology to the general principles at work Learn the markets, currencies, taxation, capital structure, governance, and more Comprehensive, adaptable, and rigorously focused, this book gives students a solid foundation in international corporate finance, as well as a sound understanding of the tools and mechanics of the field. Designed for MBA and advanced undergraduate courses, Multinational Finance provides the deep coverage so essential to a solid education in finance.

Factor Investing and Asset Allocation: A Business Cycle Perspective

Author : Vasant Naik
Publisher : CFA Institute Research Foundation
ISBN 13 : 1944960155
Total Pages : 192 pages
Book Rating : 4.9/5 (449 download)

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Book Synopsis Factor Investing and Asset Allocation: A Business Cycle Perspective by : Vasant Naik

Download or read book Factor Investing and Asset Allocation: A Business Cycle Perspective written by Vasant Naik and published by CFA Institute Research Foundation. This book was released on 2016-12-30 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Quantitative Global Bond Portfolio Management

Author : Gueorgui S Konstantinov
Publisher : World Scientific
ISBN 13 : 9811272581
Total Pages : 421 pages
Book Rating : 4.8/5 (112 download)

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Book Synopsis Quantitative Global Bond Portfolio Management by : Gueorgui S Konstantinov

Download or read book Quantitative Global Bond Portfolio Management written by Gueorgui S Konstantinov and published by World Scientific. This book was released on 2023-10-06 with total page 421 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative Global Bond Portfolio Management offers a comprehensive discussion of quantitative modelling approaches to managing global bond and currency portfolios. Drawing on practitioner and academic research, as well as the extensive market experience of the authors, the book provides a timely overview of cutting-edge tools applied to the management of global bond portfolios, including in-depth discussions of factor models and optimization techniques. In addition to providing a solid theoretical foundation for global bond portfolio management, the authors focus on the practical implementation of yield curve and currency-driven approaches that can be successfully implemented in actual portfolios. As such, the book will be an indispensable resource to both new and seasoned investors looking to enhance their understanding of global bond markets and strategies.

Asset Pricing and Portfolio Performance

Author : Robert A. Korajczyk
Publisher :
ISBN 13 :
Total Pages : 424 pages
Book Rating : 4.3/5 (555 download)

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Book Synopsis Asset Pricing and Portfolio Performance by : Robert A. Korajczyk

Download or read book Asset Pricing and Portfolio Performance written by Robert A. Korajczyk and published by . This book was released on 1999 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive reference work presenting an original framework for evaluating observed differences in returns across assets.

Sturm Und Drang in Money Market Funds

Author : Stephan Jank
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Sturm Und Drang in Money Market Funds by : Stephan Jank

Download or read book Sturm Und Drang in Money Market Funds written by Stephan Jank and published by . This book was released on 2016 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the returns and flows of German money market funds before and during the liquidity crisis of 2007/2008. The main findings of this paper are: In liquid times money market funds enhanced their returns by investing in less liquid papers. By doing so they outperformed other funds as long as liquidity in the market was high. Investing in less liquid assets, however, widens the narrow structure of money market funds and makes them vulnerable to runs. During the shortening of liquidity caused by the subprime crisis illiquid funds experienced runs, while more liquid funds functioned as a safe haven.

Efficiency and Anomalies in Stock Markets

Author : Wing-Keung Wong
Publisher : Mdpi AG
ISBN 13 : 9783036530802
Total Pages : 232 pages
Book Rating : 4.5/5 (38 download)

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Book Synopsis Efficiency and Anomalies in Stock Markets by : Wing-Keung Wong

Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.

The New Finance

Author : Robert A. Haugen
Publisher :
ISBN 13 : 9780132775878
Total Pages : 141 pages
Book Rating : 4.7/5 (758 download)

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Book Synopsis The New Finance by : Robert A. Haugen

Download or read book The New Finance written by Robert A. Haugen and published by . This book was released on 2012 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt: A supplement for junior/senior and graduate level courses in Investments, Behavioral Finance Theory, and related courses. Teach the concepts that expose the inefficiency of capital markets. The New Finance is a comprehensive and organized collection of evidence and arguments that develop a persuasive case for an inefficient, complex and, at times, nearly chaotic stock market. This brief text also shows students how the complexity and uniqueness of investor interactions have important market pricing consequences. The fourth edition includes two new chapters on the real determinants of expected stock returns and the nature of stock volatility that the Financial Crisis of 2008 has exposed.

Risk Analysis and Portfolio Modelling

Author : Elisa Luciano
Publisher : MDPI
ISBN 13 : 3039216244
Total Pages : 224 pages
Book Rating : 4.0/5 (392 download)

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Book Synopsis Risk Analysis and Portfolio Modelling by : Elisa Luciano

Download or read book Risk Analysis and Portfolio Modelling written by Elisa Luciano and published by MDPI. This book was released on 2019-10-16 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel contributions to the measurement of financial risk, which address either non-fully explored risks or risk takers, and does so in a wide variety of empirical contexts.

Modern Portfolio Theory

Author : Jack Clark Francis
Publisher : John Wiley & Sons
ISBN 13 : 1118417208
Total Pages : 576 pages
Book Rating : 4.1/5 (184 download)

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Book Synopsis Modern Portfolio Theory by : Jack Clark Francis

Download or read book Modern Portfolio Theory written by Jack Clark Francis and published by John Wiley & Sons. This book was released on 2013-01-18 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: A through guide covering Modern Portfolio Theory as well as the recent developments surrounding it Modern portfolio theory (MPT), which originated with Harry Markowitz's seminal paper "Portfolio Selection" in 1952, has stood the test of time and continues to be the intellectual foundation for real-world portfolio management. This book presents a comprehensive picture of MPT in a manner that can be effectively used by financial practitioners and understood by students. Modern Portfolio Theory provides a summary of the important findings from all of the financial research done since MPT was created and presents all the MPT formulas and models using one consistent set of mathematical symbols. Opening with an informative introduction to the concepts of probability and utility theory, it quickly moves on to discuss Markowitz's seminal work on the topic with a thorough explanation of the underlying mathematics. Analyzes portfolios of all sizes and types, shows how the advanced findings and formulas are derived, and offers a concise and comprehensive review of MPT literature Addresses logical extensions to Markowitz's work, including the Capital Asset Pricing Model, Arbitrage Pricing Theory, portfolio ranking models, and performance attribution Considers stock market developments like decimalization, high frequency trading, and algorithmic trading, and reveals how they align with MPT Companion Website contains Excel spreadsheets that allow you to compute and graph Markowitz efficient frontiers with riskless and risky assets If you want to gain a complete understanding of modern portfolio theory this is the book you need to read.